NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

International Currency Exposures, Valuation Effects, and the Global Financial Crisis

Agustín S. Bénétrix, Philip R. Lane, Jay C. Shambaugh

NBER Working Paper No. 20820
Issued in January 2015
NBER Program(s):   IFM

We examine the evolution of international currency exposures, with a particular focus on the 2002-12 period. During the run up to the global financial crisis, there was a widespread shift towards positive net foreign currency positions, such that relatively few countries exhibited the archetypal emerging-market \short foreign currency" position on the eve of the global financial crisis. During the crisis, the upheaval in currency markets generated substantial currency-generated valuation effects - much of which were not reversed. There is some evidence that the distribution of valuation effects was stabilizing in the sense of showing a negative covariation pattern with pre-crisis net foreign asset positions.

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Document Object Identifier (DOI): 10.3386/w20820

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